VNQ Options History — December 2015 In December 2015, VNQ traded between $77.55 and $80.65. ATM implied volatility averaged 16.2%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.1% (HV 20d: 17.2%). Max pain ranged from $78.00 to $81.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 7.93.
Notable Days 2015-12-11 : Highest Volume — 53,591 contracts2015-12-22 : Largest IV drop — 18.6% change2015-12-11 : Highest IV Rank — 58.4%2015-12-11 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $79.23 $77.55 $80.65 $80.49 $80.04 Max Pain $80.73 $78.00 $81.00 $78.00 $81.00 ATM IV 16.2% 11.9% 20.0% 17.7% 14.1% Expected Move 4.5% 3.4% 5.7% 5.1% 4.0% HV 20d 17.2% 14.4% 21.1% 19.7% 14.4% HV 60d 16.9% 16.1% 17.3% 16.8% 16.1% IV Rank 35.9% 11.7% 58.4% 45.2% 22.9% IV Percentile 57.1% 8.7% 90.5% 79.4% 33.3% Term Structure 0.5% -2.2% 2.0% -2.2% 0.8% VWIV 17.5% 10.4% 26.3% 17.0% 15.0% Skew 25d 4.0% 1.6% 6.0% 3.7% 2.4% Skew 10d 8.0% 3.1% 12.6% 8.3% 4.8% Call IV 25d 14.2% 11.6% 17.9% 15.9% 13.1% Put IV 25d 18.2% 13.9% 23.6% 19.5% 15.6% Bid-Ask Spread % 62.02 27.43 78.88 69.70 67.07 Gamma HHI 0.16 0.13 0.24 0.13 0.15 Net GEX -2.3M -8.5M 8.6M 3.6M -4.7M Net DEX 38.4M -17.9M 79.4M -17.9M 37.3M Net VEX -573.8K -713.0K -430.4K -519.5K -530.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.93 0.37 24.02 0.37 0.46 Total Volume 20,623.591 458 53,591 458 5,925 Total OI 89,634.227 67,716 105,405 104,558 69,336
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-12-01 $80.49 $78.00 17.7% 5.1% 19.7% 45.2% 17.0% 3.7% -2.2% 3.6M -17.9M -519.5K 0.37 69.70 N/A N/A 334 124 20,955 83,603 2015-12-02 $78.83 $78.00 18.7% 5.4% 19.8% 50.9% 18.8% 3.6% -1.9% -835.5K 18.7M -552.4K 1.56 62.51 N/A N/A 2,273 3,548 21,225 83,683 2015-12-03 $77.65 $81.00 19.7% 4.9% 19.9% 56.5% 18.9% 5.5% -0.0% -1.5M 33.4M -484.1K 1.67 63.89 N/A N/A 2,355 3,930 21,332 83,737 2015-12-04 $79.16 $81.00 17.3% 4.6% 21.1% 43.1% 20.4% 5.1% 1.9% 2.9M 986.9K -430.4K 23.22 69.46 N/A N/A 2,173 50,449 21,446 83,959 2015-12-07 $78.87 $81.00 18.9% 4.7% 17.8% 52.2% 16.4% 3.3% 0.2% -2.9M 16.5M -520.9K 17.50 78.88 N/A N/A 26 455 21,467 77,099 2015-12-08 $78.87 $81.00 19.9% 4.7% 16.6% 57.5% 23.7% 5.3% 0.7% -1.7M 44.5M -685.1K 24.02 77.31 N/A N/A 2,109 50,659 21,476 77,438 2015-12-09 $78.36 $81.00 18.2% 5.2% 16.3% 47.9% 23.3% 4.6% -0.1% -2.9M 56.2M -679.9K 23.63 76.19 N/A N/A 2,142 50,618 21,490 77,466 2015-12-10 $77.76 $81.00 17.4% 5.0% 16.5% 43.4% 22.6% 5.2% 1.4% -4.1M 63.7M -692.5K 22.22 76.57 N/A N/A 2,277 50,593 21,511 77,563 2015-12-11 $77.55 $81.00 20.0% 5.7% 16.3% 58.4% 26.3% 6.0% -1.1% -5.7M 79.4M -713.0K 22.24 70.24 N/A N/A 2,306 51,285 21,500 77,837 2015-12-14 $77.99 $81.00 19.2% 5.5% 15.8% 53.7% 19.9% 5.6% -0.5% -5.0M 72.5M -658.9K 10.89 70.27 N/A N/A 2,197 23,935 21,493 78,399 2015-12-15 $78.86 $81.00 17.3% 5.0% 15.7% 42.8% 18.8% 5.8% 1.0% -1.8M 50.7M -639.6K 11.03 70.41 N/A N/A 2,170 23,939 21,528 78,960 2015-12-16 $80.39 $81.00 14.8% 4.2% 17.0% 28.6% 14.5% 2.7% -1.0% 7.7M -4.6M -542.0K 5.36 63.01 N/A N/A 4,477 24,011 21,510 78,961 2015-12-17 $80.09 $81.00 14.5% 4.2% 17.0% 27.1% 16.8% 4.4% 1.9% 8.6M 6.9M -590.1K 4.35 70.85 N/A N/A 6,029 26,217 23,615 79,216 2015-12-18 $79.26 $81.00 15.1% 4.3% 17.5% 30.2% 16.9% 4.6% 2.0% -1.4M 56.2M -616.1K 0.78 62.83 N/A N/A 6,761 5,279 22,029 81,167 2015-12-21 $79.36 $81.00 14.6% 4.2% 17.0% 27.5% 16.5% 4.4% 1.2% -8.5M 69.9M -590.4K 1.27 65.23 N/A N/A 2,117 2,695 10,912 56,804 2015-12-22 $79.72 $81.00 11.9% 3.4% 17.0% 11.8% 10.4% 1.6% 1.5% -6.7M 55.7M -534.0K 0.56 54.83 N/A N/A 5,085 2,858 11,094 56,920 2015-12-23 $79.37 $81.00 13.4% 3.9% 17.0% 19.2% 13.7% 2.8% 1.4% -6.6M 56.7M -568.5K 0.71 28.92 N/A N/A 3,867 2,737 11,755 57,016 2015-12-24 $79.42 $81.00 13.7% 3.9% 16.9% 20.5% 14.4% 3.3% 1.2% -6.1M 51.9M -546.2K 0.66 27.43 N/A N/A 3,924 2,574 11,803 57,041 2015-12-28 $79.83 $81.00 13.5% 3.9% 16.7% 19.6% 14.8% 2.9% 0.8% -5.6M 44.2M -533.0K 0.62 41.62 N/A N/A 4,056 2,503 11,980 57,048 2015-12-29 $80.65 $81.00 12.2% 3.5% 16.9% 11.7% 13.0% 3.4% 1.5% -3.9M 26.3M -504.4K 0.66 31.94 N/A N/A 3,930 2,583 12,154 57,058 2015-12-30 $80.44 $81.00 13.5% 3.9% 16.2% 19.6% 14.0% 3.0% 1.0% -4.0M 26.2M -491.6K 0.63 65.24 N/A N/A 3,801 2,393 12,298 57,069 2015-12-31 $80.04 $81.00 14.1% 4.0% 14.4% 22.9% 15.0% 2.4% 0.8% -4.7M 37.3M -530.7K 0.46 67.07 N/A N/A 4,057 1,868 12,306 57,030
« Nov 2015 | All History | Jan 2016 » Home VNQ History December 2015